I usually do my gloves with magic loop but once I get to the fingers I work them on dpns, cause the # of sts for each finger is usually pretty small. The other sts that I'm not working stay on the magic loop needle...

If you wanted to work them on magic loop then you could either use another needle to work the fingers or if you don't have another needle...place the extra sts on scrap yarn and then work the fingers as needed on magic loop. It might be awakward though due to the amt. of sts...